Outcast Beta

We demonstrate how simple long-term volatility forecasts can be improved by incorporating the volatility of short-term volatility into forecasting models.

Can we find inflation hedges in the stock market?

Last edit on 24-Mar-2025 Are stocks an inflation hedge?

Constructing a high Sharpe ratio portfolio, paired with sensible leverage, is the key to achieving meaningful returns with tolerable risk.

Historically, long-short equity factors have provided positive mean returns with low correlation to other assets.

Correlations largely determine the benefits of diversification.

Why would anyone with a long enough time horizon invest in anything other than equities, given they have the highest expected return?

“In the short run, the market is a voting machine but in the long run, it is a weighing machine” is attributed to Benjamin Graham.

Unlike the realized past, the future always involves uncertainty.

Academics have long debated the concept of time diversification, which questions whether time reduces the risk for stock investors or not.